Rapid UBVRI Follow-up of the Highly Collimated Optical Afterglow of GRB010222

(Abridged) We present the earliest optical observations of the optical counterpart to the GRB 010222, obtained with the FLWO 1.2-m telescope in UBVRI passbands, starting 3.64 hours after the burst. We also present late R-band observations of the afterglow obtained with the 1.8-m VATT ~25 days after the burst. The temporal analysis of our data joined with published data indicates a steepening decay, independent of wavelength, asymptotically approaching t^{-0.80+/-0.05} at early times (t << 1 day) and t^{-1.30+/-0.05} at late times, with a sharp break at t_b=0.72+/-0.1 days. This is the second earliest observed break of any afterglow (after GRB 980519), which clearly indicates the importance of rapid multi-band follow-up for GRB afterglow research. The optical spectral energy distribution, corrected for small Galactic reddening, can be fit fairly well by a single power-law with a slope of -1.07+/-0.09. However, when we fit using our BVRI data only, we obtain a shallower slope of -0.88+/- 0.1, in excellent agreement with the slope derived from our low-resolution spectrum (-0.89 +/- 0.03). The spectral slope and light curve decay slopes we derive are not consistent with a jet model despite the presence of a temporal break. Significant host dust extinction with a star-burst reddening law would flatten the spectral index to match jet predictions and still be consistent with the observed spectral energy distribution. We derive an opening angle of 2.1 deg, smaller than any listed in the recent compilation of Frail et al. The total beamed energy corrected for the jet geometry is 4x10^50 erg, very close to the ``standard'' value of 5x10^50 erg found by Frail et al. for a number of other bursts with light-curve breaks.